Testing for abrupt breaks in variance structures with smooth changes

DOI10.1080/03610926.2018.1510002OpenAlexW2898283737MaRDI QIDQ5077891

Raja Ben Hajria, Salah Khardani, Hamdi Raïssi

Publication date: 20 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1510002

zbMATH Keywords

CUSUM testunconditionally heteroscedastic errorsvariance breaks

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Adaptive estimation of autoregressive models with time-varying variances
• Break detection in the covariance structure of multivariate time series models
• Fitting time series models to nonstationary processes
• Testing for parameter constancy in GARCH\((p,q)\) models
• Inference in Autoregression under Heteroskedasticity
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

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